Term structure modelling with quadratic CARMA processes
Year of publication: |
2016
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Authors: | Tong, Zhigang |
Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 2.2016, 4, p. 285-303
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Subject: | term structure | interest rates | continuous time autoregressive and moving average | CARMA | quadratic modelling | Kalman filter | continuous time models | bond prices | bond yields | forecasting | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | CAPM | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model |
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